I create my own mp3 files because they save space. As a musician and game developer, I'm confused why they dont allow this?
Too expensive -- you have to pay a licensing fee for any program distributed capable of playing them...
However, BlitzMax does play .OGG, which tend to be even smaller than MP3 at the same quality settings, so if saving space is all you're after, OGG is the way to go.
There are quite a few free converters out there -- 'Audacity' for example, which can read MP3 or WAV and output OGG among others.